Loyalty Founder En Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
10,101.63
increased by 4,034.60
1 Week
7,044.25
increased by 977.22
1 Month
4,546.03
decreased by 1,521.00
Analysis last updated: Wednesday, July 22, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 2, 2003 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 2221 trading days (~8.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1336 | 7.25*** |
α ARCH Response to squared shocks | 0.1841 | 8.76*** |
β GARCH Volatility persistence | 0.8156 | 38.53*** |
Spline Coefficients
K=9
| γ1 | -0.5732 | -0.78 |
| γ2 | 0.1116 | 0.12 |
| γ3 | 2.1186 | 2.21** |
| γ4 | -4.3269 | -2.72*** |
| γ5 | 5.2808 | 2.58*** |
| γ6 | -4.0767 | -2.43** |
| γ7 | 2.4117 | 2.64*** |
| γ8 | -2.9435 | -3.14*** |
| γ9 | 5.0696 | 4.40*** |
Persistence:
1.000
Half-life:
2221 days
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